It seems to vary in different periods and different markets. Secondly, Andersen and his coworker developed FIVAR (fractional integrated vector auto regression) model to forecast exchange volatility.
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- 其次，Andersen等學(xué)者的向量分數綜合自回歸模型都沒(méi)有考慮市場(chǎng)的杠桿效應或不對稱(chēng)性，應用于匯率市場(chǎng)時(shí)應該不會(huì )有較大誤差，但是，股票市場(chǎng)波動(dòng)率一般都有明顯的不對稱(chēng)性，因此該模型并不適合股票市場(chǎng)波動(dòng)率。
